Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2017
inference can be achieved through the development of confidence regions or hypothesis tests using either heteroskedasticity … conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator … remains consistent and asymptotically normal in such cases, unconditional heteroskedasticity inflates its variance matrix by a …